In this paper, we focus on the link between systemic risk and sovereign crises. We model how state support may influence a distressed financial system on an agent-based network model calibrated to 4Q 2011 data collected from several sources. Our model contributes methodologically to agent-based...

This paper deals with sectoral credit risk in the Czech economy. It follows structural Merton‘ s approach. Latent factor models are employed within this framework. The credit risk models for the corporate and household sectors in the Czech Republic were estimated in this manner. They are able...